Quantess London

Confirmed cases of Co-vid 19 for selected countries. Showing number of cases since day of 100th case, using a log scale. Data correct at 23.59 UTC 7th April.

This, from the European Centre for Disease Prevention and Control. Download today’s data on the geographic distribution of COVID-19 cases worldwide:
https://www.ecdc.europa.eu/…/download-t odays-data-geographi…

Let's talk about economics: https://www.ft.com/con…/744f4fc4-6762-1 1e9-9adc-98bf1d35a056

"How some cities ‘flattened the curve’ during the 1918 flu pandemic" in The National Geographic:
"In 1918, the studies found, the key to flattening the curve was social distancing. And that likely remains true a century later, in the current battle against coronavirus. “[T]here is an invaluable treasure trove of useful historical data that has only just begun to be used to inform our actions,” Columbia University epidemiologist Stephen S. Morse wrote in an analysis of the data. “The lessons of 1918, if well heeded, might help us to avoid repeating the same history today.” https://api.nationalgeographic.com/…/ho w-cities-flattened-c…

"How different countries are reacting to the COVID-19 risk and their governments’ responses"
Researchers at the Winton Centre for Risk and Evidence Communication spent the weekend surveying people's attitudes towards the risk of coronavirus, and their governments’ reactions.
Here, Dr Alexandra Freeman takes us through data collected from the UK and US at the end of last week, and Australia, Mexico, Spain, Germany and Italy over the weekend (21-22 March).
... https://www.cam.ac.uk/stories/wintoncovid 1…
See More

Dr. Tom Frieden, former director of the US Centers for Disease Control and Prevention: "There's a long war ahead and our Covid-19 response must adapt"
https://edition.cnn.com/…/coronavirus-r esponse-m…/index.html

An interesting (and hopeful) critique of the Ferguson et al paper, "Impact of non-pharmaceutical interventions..." by Chen Shen, Nassim Nicholas Taleb and Yaneer Bar-Yam:
https://necsi.edu/review-of-ferguson-et-a l-impact-of-non-ph…

Very concerning trend where the UK is - see #TheEconomist

In this podcast episode for Exchanges at Goldman Sachs, Joe Montesano (head of Americas Equity Trading for Goldman Sachs) analyses how the coronavirus pandemic continues to add volatility to markets. Montesano also talks about parallels and differences in today's market environment compared to that of the 2008 global financial crisis.
https://podcasts.apple.com/…/markets-up date-ho…/id948913991…

Let's keep that maths going 😁

"How do coronavirus containment measures vary across the world? Snapshot as of 19 March." (Source: www.olejeune.com)

This widely circulated paper from the Imperial College COVID-19 Response Team looks at the impact of non-pharmaceutical interventions (NPIs) to reduce COVID19 mortality and healthcare demand. Using epidemiological modelling, it focuses on the two key policies of mitigation (slowing but not necessarily stopping epidemic spread to reduce peak healthcare demand while protecting the most at-risk) and suppression (aiming to reverse epidemic growth, reduce case numbers to low levels and maintain the situation indefinitely.)
https://www.imperial.ac.uk/…/Imperial-C ollege-COVID19-NPI-m…

Real-time global statistics from Worldometer, an excellent website updated daily, which is tracking the number of confirmed cases, recovered patients, and death toll by country due to the COVID-19 (Coronavirus) outbreak:
https://www.worldometers.info/coronavirus /

In response to mounting concerns relating to the spread of COVID-19 (Coronavirus), regular Quantess meetings and upcoming seminars have been suspended until further notice.
For those self-isolating at home, or working from home but with spare moments, there is a unique opportunity to witness a major "Black Swan" event: markets are in free-fall. There is a huge interest in epidemiological modelling to understand coronavirus using models not too different from Quant models.We ...will be posting relevant content online on both this and other topics across our various platforms during these challenging coming months.
To be a part of the Quantess conversation, please join us online by signing up for our newsletter if you are not yet a subscriber; by visiting the website; and/or by following us on Twitter and here on Facebook.
We hope you stay safe and healthy, and please do not hesitate to get in touch - The Quantess Team
See More

Quantess was very pleased to invite Ryoko Ito to present her research with Giuliano De Rossi (also present) at a Quantess seminar on Feb 26th 2020, kindly hosted by Macquarie Bank.
Ryoko is an Equities Execution Research Strategist in the Quantitative Execution Services (QES) team at Goldman Sachs.
The paper Ryoko presented, which was co-authored with Giuliano De Rossi and Michael Steliaros, analyses the relation between news arrival intensity, volatility and volume at an i...ntraday frequency using a global dataset. The analysis was based on the Refinitiv news analytics platform, which uses natural language processing to perform entity recognition, classification by topic and sentiment analysis. They argued that there is strong evidence that both volume and volatility forecasts can be improved using news analytics data and they assessed this by comparing forecasts with and without the inclusion of the news variables Their model is, essentially, a dynamic panel regression with choice of dependent variables, realised volatility or volume. This model, they suggest, can be applied to optimal execution both at the stock and portfolio level. A rather small audience (due to external market conditions) nevertheless asked substantive questions and there was a great deal of informed discussion followed by the usual enjoyable networking and refreshments. We hope to host our next talk in early May.
See More

Thanks to everyone who came to yesterday's fascinating Quantess seminar with Ryoko Ito.
To keep up-to-date with future events, please do consider subscribing to our mailing list.

Whether you want to learn more about Quantess, join our group, or become a speaker in our upcoming seminars, here's how to get involved: